Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
References
19 Dec 2023
RDP
2023-09
Place: A Macroeconometric Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07. ... Plagborg-Møller M and CK Wolf (2021), ‘Local Projections and VARs Estimate the Same Impulse Responses’, Econometrica, 89(2), pp 955-980.
https://www.rba.gov.au/publications/rdp/2023/2023-09/references.html
Appendix A: Technical Details
1 Oct 2017
RDP
2017-06
The Teräsvirta-Yang test for linearity versus the STVAR model can be performed as follows:. ... Given that the model is highly nonlinear in its parameters, several local optima might be present.
https://www.rba.gov.au/publications/rdp/2017/2017-06/appendix-a.html
See 12 more results from "RDP 2017-06"
Credit Spreads, Monetary Policy and the Price Puzzle
1 Jan 2020
RDP
2020-01
t. (e.g. unemployment or output as captured by a standard VAR model),. ... However, adding this broad range of indicators to the VAR model is not feasible without applying some dimension reduction technique.
https://www.rba.gov.au/publications/rdp/2020/2020-01/full.html
See 12 more results from "RDP 2020-01"
Cost-benefit Analysis of Leaning against the Wind
1 Jul 2019
RDP
2019-05
Both scenarios are generated by the AUS-M model maintained by Outlook Economics. ... We also experimented with other VARs used for operational work within the RBA.
https://www.rba.gov.au/publications/rdp/2019/2019-05/full.html
See 7 more results from "RDP 2019-05"
References
1 Dec 1999
RDP
1999-11
Bagliano, F.C. and C.A. Favero (1997), ‘Measuring Monetary Policy with VAR Models: An Evaluation’, CEPR Discussion Paper No. ... 9214. Robertson, J.C. and E.W. Tallman (1999), ‘Prior Parameter Uncertainty: Some Implications for Forecasting and
https://www.rba.gov.au/publications/rdp/1999/1999-11/references.html
See 7 more results from "RDP 1999-11"
Model
23 Nov 2016
RDP
2016-08
Like other canonical models of the US economy, such as that in Smets and Wouters (2007), this model features a neoclassical core augmented by shocks and frictions that help to explain ... In the model, the growth rate of TFP, z. t. , follows the
https://www.rba.gov.au/publications/rdp/2016/2016-08/model.html
See 15 more results from "RDP 2016-08"
Forecasting Australian Economic Activity Using Leading Indicators
1 Apr 2000
RDP
2000-02
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2000/2000-02.html
See 6 more results from "RDP 2000-02"
References
16 May 2008
RDP
2008-01
RDP 2008-01: A Sectoral Model of the Australian Economy References. Jeremy Lawson and Daniel Rees. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342.
https://www.rba.gov.au/publications/rdp/2008/2008-01/references.html
See 10 more results from "RDP 2008-01"
Appendix C: Model Selection
31 Dec 2007
RDP
2007-07
RDP 2007-07: More Potent Monetary Policy? Insights from a Threshold Model Appendix C: Model Selection. ... i. is the number of observations. Table C1: Akaike and Schwarz Information Criteria for Model Selection.
https://www.rba.gov.au/publications/rdp/2007/2007-07/appendix-c.html
See 10 more results from "RDP 2007-07"
Value at Risk: On the Stability and Forecasting of the Variance-covariance Matrix
1 May 1999
RDP
1999-04
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1999/1999-04.html
See 8 more results from "RDP 1999-04"